The duality principle in option pricing aims at simplifying valuation problems that depend on several variables by associating them to the corresponding dual option pricing problem. Here we analyze the duality principle for options that depend on several assets. The asset price processes are driven by general semimartingales, and the dual measures are constructed via an Esscher transformation. ...

We propose a novel approach to optimum inventory control by modeling a commodity trader’s inventory investment as a portfolio of forward commitments taking explicit account of the dynamics of demands, costs and prices in open markets. We apply the robust real-asset martingale valuation methodology to derive a closed-form solution for the inventory value and a simple and intuitive optimality con...

In this paper we discuss the approximate basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated diffusion processes with idiosyncratic and systematic jumps. We suggest a new approximate pricing formula which is the weighted sum of Roger and Shi’s lower bound and the conditional second moment adjustments. We show the approximate value is always wi...

Abstract: This study aims to find out: 1) An overview of the level asset inventory, legal audit, valuation, monitoring and control, optimization management in Provincial Government East Nusa Tenggara. 2) significance influence on control. 3) control management. 4) mediating effect valuation optimizing Regional Tenggara Province. The collected data were analyzed using descriptive statistics infe...

The information security strategic plan is necessarily comprehensive, including business processes, people, and physical infrastructure, as well as the information system. The Security risk evaluation needs the calculating asset value to predict the impact and consequence of security incidents. The return on security investment (ROSI) is defining the value for all invested in terms of security ...

We analyze the risk characteristics and the valuation of assets in an economy in which the investment opportunity set is described by the real interest rate and the maximum Sharpe ratio. It is shown that, holding constant the beta of the underlying cash flow, the beta of a security is a function of the maturity of the cash flow. For parameter values estimated from U.S. data, the security beta i...

We provide a simple binomial framework to value American-style derivatives subject to trading restrictions. The optimal investment of liquid wealth is solved simultaneously with the early exercise decision of the nontraded derivative. Noshort-sales constraints on the underlying asset manifest themselves in the form of an implicit dividend yield in the risk-neutralized process for the underlying...